Don't listen to these guys. Windows Firewall is actually all you really need. The TRUE hacker (not these little script kiddie brats) has to find you first. Good luck.
Most "hackers" that these guys talk about aren't true hackers at all, either. They're what's called "script kiddies". They haven't got the foggiest idea how to hack a computer. They download tools from websites and try and run them. When they don't work on one machine, they move on to the next.
Typically they rely on a program already being installed on your side that opens up a doorway. Then they use a program from the other side to open up a tunnel and they're in. They then steal your identity to attack others. Most of these little brats, that really aren't worth the title "hacker" and very little more than a good sound spanking, don't know the meaning of the word hacker. They think if they are cute and use a few numbers in their name that they are "1337" or "elite".. What a joke.
The other thing these little teenage punks do is build websites that advertise free stuff like cracks and warez. You know, those idiotic websites that every time you click a link it says you must accept this program to access the warez, or click this link, this link and this one to unlock the program? Or you click a link and it spawns yet ANOTHER wannabe site? I have one I use for testing security programs and testing my work on other computers. Every single page has at least one, if not two, programs that try and install themselves, no matter if you use Opera, Firefox or IE. It's a bugger of a site. But that's what they're doing. They're trying to install programs that will open a door on your computer so that these little kiddies can use their little programs on you.
So don't sweat it. Zone Alarm is nothing more than a pain in the ass. A REAL hacker can get through that in about 5 minutes. What you want, rather, is Avast! to keep those nasty bastard programs from downloading automatically from obnoxious websites, Prevx1 to monitor anything and everything that is trying to run or install, and something to monitor your registry wouldn't hurt either if you feel so inclined. Spybot is good for that.
With that in place, you won't have much to worry about.
Let's sum part of it up this way. If someone tells you they're a hacker, they aren't.